Abstract
Diffusions are widely used in finance due to their tractability. Driftless diffusions are needed to describe ratios of asset prices under a martingale measure. We provide a simple example of a tractable driftless diffusion which also has a bounded state space.
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APA
Carr, P. (2017). Bounded brownian motion. Risks, 5(4). https://doi.org/10.3390/risks5040061
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